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TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES
Hong, Yongmiao; Wang, Xia; Wang, Shouyang
2017-11-01
Source PublicationINTERNATIONAL ECONOMIC REVIEW
ISSN0020-6598
Volume58Issue:4Pages:1227-1277
AbstractWe propose a model-free test for strict stationarity. The idea is to estimate a nonparametric time-varying characteristic function and compare it with the empirical characteristic function based on the whole sample. We also propose several derivative tests to check time-invariant moments, weak stationarity, and pth order stationarity. Monte Carlo studies demonstrate excellent power of our tests. We apply our tests to various macroeconomic time series and find overwhelming evidence against strict and weak stationarity for both level and first-differenced series. This suggests that the conventional time series econometric modeling strategies may have room to be improved by accommodating these time-varying features.
DOI10.1111/iere.12250
Language英语
Funding ProjectNational Science Foundation of China[71401160] ; Ministry of Education of Humanities and Social Sciences China[14YJC790120] ; Fujian Provincial Key Laboratory of Statistics (Xiamen University)[2016003]
WOS Research AreaBusiness & Economics
WOS SubjectEconomics
WOS IDWOS:000416331700006
PublisherWILEY
Citation statistics
Cited Times:1[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/29195
Collection中国科学院数学与系统科学研究院
Affiliation1.Cornell Univ, Ithaca, NY 14853 USA
2.Xiamen Univ, Xiamen, Peoples R China
3.Sun Yat Sen Univ, Guangzhou, Guangdong, Peoples R China
4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
5.Univ Chinese Acad Sci, Beijing, Peoples R China
Recommended Citation
GB/T 7714
Hong, Yongmiao,Wang, Xia,Wang, Shouyang. TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES[J]. INTERNATIONAL ECONOMIC REVIEW,2017,58(4):1227-1277.
APA Hong, Yongmiao,Wang, Xia,&Wang, Shouyang.(2017).TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES.INTERNATIONAL ECONOMIC REVIEW,58(4),1227-1277.
MLA Hong, Yongmiao,et al."TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES".INTERNATIONAL ECONOMIC REVIEW 58.4(2017):1227-1277.
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